Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA‐Sieve Bootstrap
نویسندگان
چکیده
منابع مشابه
Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap
A new method to estimate the moving-average (MA) coefficients of a stationary time series is proposed. The new approach is based on the modified Cholesky factorization of a consistent estimator of the autocovariance matrix. Convergence rates are established, and the new estimates are used in order to implement a MA-type sieve bootstrap. Finite-sample simulations corroborate the good performance...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2018
ISSN: 0143-9782,1467-9892
DOI: 10.1111/jtsa.12296